This course is a presentation of financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. A particular attention will be dedicated to optimal trading and execution technics.
Session 1: The evolution of financial markets, financial market regulation, trading methodology and strategy
Session 2: Identifying and trading on opportunities
Session 3: Trading cost analysis and electronic trading strategies
Session 4: Optimal execution, almgren chriss, market impact, benchmarks
Session 5: Estimation using HF data, seasonalities and Market impact estimation
Session 6: Trading with limit orders: position in the order book, non-execution risk, dynamical optimisation
Session 7: Optimal trading
Aldridge I., High-frequency trading, Wiley & sons, 2013.
Chan E., Algorithmic Trading- Winning Strategies and Their Rationale, Wiley, 2013.
Hasbrouck J., Empirical Market Microstructure, Oxford University Press, 2007
Lehalle C. A. and S. Laruelle, Market Microstructure in Pratice, World Scientific 2013.
Johnson B, Algorithmic Trading & DMA, Myeloma Press, 2010.
Group Project: Report + presentation